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发帖数: 11968 | 1 【 以下文字转载自 NewYork 讨论区 】
发信人: talkdirty (Eugene Summers), 信区: NewYork
标 题: 问个CDS SNAC contract convention 的问题
发信站: BBS 未名空间站 (Wed Jun 3 18:33:00 2009)
问题是这样的, 希望懂的同学解释一下, 我好验证自己的理解, 谢谢.
e.g.
notional = $10 mil
CDS spread = 200 bps
Recovery rate convention = .4
5 year swap:
==>Buyer pays $200,000 per year for protection (forgetting about accruals
etc).
1) If default, seller pays buyer $10 mill or pays buyer $6 mil?
2) if default happens prior to 5th year, does the buyer still owe the
remaining |
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